nebraska investment council...visit the retirement and investments thought leadership site ();...

Visit the Retirement and Investments Thought Leadership Site (https://retirement-investment-insights.aon.com); sharing our best thinking.

Nebraska Investment Council

First Quarter 2020 Performance Review

1 Executive Summary 1

2 Manager Detail 19

Table Of Contents

Executive Summary

1

Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.

Market Highlights

6.7%

-0.2% -0.6% -0.4%

3.4%

7.3%

4.7%2.8%

-7.8%

10.5%

6.9%

2.7%0.7%

3.9%

8.9%7.3%

5.6%

-6.7%-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

S&P 500 Russell 2000 MSCI EAFE MSCI EmergingMarkets

BloombergBarclays U.S.

Aggregate


Long Gov't

BloombergBarclays U.S.Long Credit


High Yield

BloombergCommodity Index

LONG TERM ANNUALIZED RETURNSAS OF 03/31/2020

Five-Year Ten-Year

Source: Russell, MSCI, Bloomberg Barclays, Bloomberg

-19.6%

-30.6%

-22.8% -23.6%

3.1%

20.6%

-4.7%

-12.7%

-23.3%

-7.0%

-24.0%

-14.4%-17.7%

8.9%

32.3%

9.0%

-6.9%

-22.3%

-40.0%

-30.0%

-20.0%

-10.0%

0.0%

10.0%

20.0%

30.0%

40.0%

S&P 500 Russell 2000 MSCI EAFE MSCI EmergingMarkets


Aggregate


Long Gov't

BloombergBarclays U.S.Long Credit


High Yield

BloombergCommodity Index

SHORT TERM RETURNSAS OF 03/31/2020

First Quarter 2020 One-Year

Source: Russell, MSCI, Bloomberg Barclays, BloombergMSCI Indices show net total returns throughout this report. All other indices show gross total returns..

2

Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.

Market Highlights

First Quarter 1-Year 3-Year1

5-Year1

10-Year1

Equity

MSCI All Country World IMI -22.44% -12.73% 0.76% 2.45% 5.80%

MSCI All Country World -21.37% -11.26% 1.50% 2.85% 5.88%

Dow Jones U.S. Total Stock Market -20.96% -9.28% 3.92% 5.70% 10.13%

Russell 3000 -20.90% -9.13% 4.00% 5.77% 10.15%

S&P 500 -19.60% -6.98% 5.10% 6.73% 10.53%

Russell 2000 -30.61% -23.99% -4.64% -0.25% 6.90%

MSCI All Country World ex-U.S. IMI -24.11% -16.32% -2.34% -0.66% 2.14%

MSCI All Country World ex-U.S. -23.36% -15.57% -1.96% -0.64% 2.05%

MSCI EAFE -22.83% -14.38% -1.82% -0.62% 2.72%

MSCI EAFE (Local Currency) -20.55% -12.58% -1.80% -0.15% 4.36%

MSCI Emerging Markets -23.60% -17.69% -1.62% -0.37% 0.68%

Fixed Income

Bloomberg Barclays Global Aggregate -0.33% 4.20% 3.55% 2.64% 2.47%

Bloomberg Barclays U.S. Aggregate 3.15% 8.93% 4.82% 3.36% 3.88%

Bloomberg Barclays U.S. Long Gov't 20.63% 32.28% 13.30% 7.32% 8.89%

Bloomberg Barclays U.S. Long Credit -4.65% 9.05% 6.58% 4.67% 7.26%

Bloomberg Barclays U.S. Long Gov't/Credit 6.21% 19.32% 9.68% 5.99% 8.07%

Bloomberg Barclays U.S. TIPS 1.69% 6.85% 3.46% 2.67% 3.48%

Bloomberg Barclays U.S. High Yield -12.68% -6.94% 0.77% 2.78% 5.64%

Bloomberg Barclays Global Treasury ex U.S. -1.53% 2.02% 2.96% 2.44% 1.50%

JP Morgan EMBI Global (Emerging Markets) -11.76% -5.28% 0.44% 2.85% 4.82%

Commodities

Bloomberg Commodity Index -23.29% -22.31% -8.61% -7.76% -6.74%

Goldman Sachs Commodity Index -42.34% -41.01% -13.33% -12.82% -10.43%

Hedge Funds

HFRI Fund-Weighted Composite2

-9.39% -5.11% 0.32% 1.09% 2.78%

HFRI Fund of Funds2

-7.30% -3.94% 0.50% 0.33% 1.91%

Real Estate

NAREIT U.S. Equity REITS -27.30% -21.26% -3.14% -0.35% 7.40%

NCREIF NFI - ODCE 0.97% 4.87% 6.81% 8.46% 11.45%

FTSE Global Core Infrastructure Index -17.89% -9.29% 3.94% 4.52% 8.30%

Private Equity

Burgiss Private iQ Global Private Equity3

11.61% 14.89% 11.58% 13.92%

MSCI Indices show net total returns throughout this report. All other indices show gross total returns.1 Periods are annualized.

2 Latest 5 months of HFR data are estimated by HFR and may change in the future.

3 Burgiss Private iQ Global Private Equity data is as at June 30, 2019

Returns of the Major Capital Markets

Period Ending 03/31/2020

3

Total Assets by Asset Pool

Total Defined Benefit Plan $11,532,537,533

Defined Cont. & Deferred Comp. $1,019,767,349

Total Cash Balance Benefit $2,018,564,888

OSERS $1,173,601,424

Hartford Options $26,531,090

College Savings Plan $4,461,545,211

State Farm CSP $536,404,430

Enable Savings Plan $11,865,003

Health Care Endowments $379,569,014

50/50 Endowments $891,563,132

Excess Liability Fund $70,456,214

In-House Trusts $10,022,316

Internal Short–Term Liquidity Pool $629,076,762

Operating Investment Pool (Internal Government/Corporate) $3,593,989,416

Time Deposit Open Account $39,200,305

Total $26,394,694,087

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

Major Capital Markets

Dow Jones U.S. Total Stock Market Index -21.0 -9.3 3.9 5.7 10.1

MSCI AC World ex USA Index (Net) -23.4 -15.6 -2.0 -0.6 2.1

Blmbg. Barc. Universal 1.3 7.2 4.4 3.4 4.0

CPI 0.4 1.5 1.9 1.8 1.7

Total NIC Plans

Highlights

As of March 31, 2020


4

Total Assets by Asset Pool


Total Defined Benefit Plan43.7%

College Savings Plan16.9%

Operating Investment Pool (Internal Government/Corporate)

13.6%

Total Cash Balance Benefit7.6%

OSERS4.4%

Defined Cont. & Deferred Comp.3.9%

50/50 Endowments3.4%

Internal Short–Term Liquidity Pool2.4%

State Farm CSP2.0%

Health Care Endowments1.4%

Excess Liability Fund0.3%

Time Deposit Open Account0.1%

Hartford Options0.1%

Enable Savings Plan0.0%

In-House Trusts0.0%

5

DB & Endowments – Actual vs. Policy Allocation

- The intermediate-term Private Equity policy allocation is 5% for the Defined Benefit and Cash Balance Benefit Plans.- The long-term target allocation to Real Estate within the DB and CBB Plans is 7.5% and will be funded from U.S. Equity over time.


Defined Benefit Plan Cash Balance Benefit

Actual Policy Difference Policy Ranges Actual Policy Difference Policy Ranges

U.S. Equity 25.9% 28.5% -2.6% 23.5% - 33.5% 25.8% 28.5% -2.7% 23.5% - 33.5%

Non-U.S. Equity 10.3% 11.5% -1.2% 6.5% - 16.5% 10.2% 11.5% -1.3% 6.5% - 16.5%

Global Equity 17.6% 19.0% -1.4% 14.0% - 24.0% 17.5% 19.0% -1.5% 14.0% - 24.0%

Fixed Income 32.6% 30.0% 2.6% 25.0% - 35.0% 32.9% 30.0% 2.9% 25.0% - 35.0%

Real Estate 7.1% 6.0% 1.1% 1.0% - 11.0% 7.0% 6.0% 1.0% 1.0% - 11.0%

Private Equity* 6.5% 5.0% 1.5% 0.0% - 10.0% 6.5% 5.0% 1.5% 0.0% - 10.0%

Health Care Endowment 50/50 Endowment

Actual Policy Difference Policy Ranges Actual Policy Difference Policy Ranges

U.S. Equity 28.3% 30.5% -2.2% 25.5% - 35.5% 16.0% 19.0% -3.0% 14.0% - 24.0%

Non-U.S. Equity 12.0% 13.0% -1.0% 8.0% - 18.0% 6.9% 8.0% -1.1% 3.0% - 13.0%

Global Equity 21.0% 21.5% -0.5% 16.5% - 26.5% 10.1% 13.0% -2.9% 8.0% - 18.0%

Fixed Income 26.3% 25.0% 1.3% 20.0% - 30.0% 54.7% 50.0% 4.7% 45.0% - 55.0%

Real Estate 4.2% 5.0% -0.8% 0.0% - 10.0% 5.0% 5.0% 0.0% 0.0% - 10.0%

Private Equity* 8.1% 5.0% 3.1% 0.0% - 10.0% 7.3% 5.0% 2.3% 0.0% - 10.0%

6

Allocation

MarketValue

($)

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Total Defined Benefit Plan 11,532,537,533 -14.3 -5.8 2.9 4.1 7.0 8.6 07/01/1983

Policy Benchmark -14.0 -4.8 3.3 4.1 6.9 8.7

Total Cash Balance Benefit Plan 2,018,564,888 -14.2 -5.7 2.9 4.1 6.9 6.9 01/01/2003

Policy Benchmark -14.0 -4.8 3.3 4.1 6.9 7.0

OSERS 1,173,601,424 -10.2 -3.2 2.9 2.0 5.0 8.6 12/01/1989

Policy Index -9.6 -1.0 4.6 4.3 7.0 N/A

Health Care Endowments 379,569,014 -15.4 -6.3 2.7 3.8 7.1 5.9 01/01/2001

Health Care Policy -15.1 -6.0 3.0 4.1 6.9 5.2

50/50 Endowments 891,563,132 -10.1 -2.0 3.0 3.7 6.1 6.9 01/01/1996

50/50 Endowment Policy -9.6 -1.2 3.9 4.2 6.4 6.5

Excess Liability Fund 70,456,214 1.2 7.0 4.4 3.4 4.2 5.5 07/01/1997

Performance Benchmark 1.3 7.2 4.4 3.4 4.0 5.3

Total OIP 4,231,606,677 2.4 6.0 3.5 2.6 2.6 3.9 01/01/1997

Policy Benchmark 2.5 6.5 3.5 2.5 2.8 3.8

Aeronautics 7,174,947 8.2 13.0 5.8 3.7 3.9 6.2 01/01/1990

Blmbg. Barc. U.S. Treasury 8.2 13.2 5.8 3.6 3.8 5.8

Agricultural Development 2,847,368 8.3 13.2 5.9 3.7 4.0 6.4 01/01/1989


*Only includes Plans that have a total fund return. As such, Defined Contribution, Deferred Compensation, Hartford, College Savings Plans, and TDOAare not shown

Selected* Plans

Performance by Asset Pool



7

Return Summary

Quarterly Excess Performance Ratio of Cumulative Wealth - 10 Years

Total Defined Benefit Plan Policy Benchmark

0.0

15.0

30.0

-15.0

-30.0

Re

turn

1Quarter

FYTD 1Year

3Years

5Years

10Years

Inception7/1/83

-14.0

-8.0-4.8

3.3 4.16.9

8.7

-14.3

-8.7-5.8

2.9 4.17.0

8.6

Total Defined Benefit Plan Benchmark

0.98

1.00

1.02

1.04

3/10 3/11 3/12 3/13 3/14 3/15 3/16 3/17 3/18 3/19 3/20

1.01

Quarterly Out Performance Quarterly Under Performance

0.0%

0.8%

1.6%

-0.8 %

-1.6 %

-2.4 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

Total Plan Performance Summary

As of March 31, 2020Total Defined Benefit Plan


8

Total Fund Performance

-24.00 % -18.00 % -12.00 % -6.00 % 0.00%

Total Fund

Total Fund Benchmark

Total Value Added

-14.30 %

-13.98 %

-0.31 %

Total Value Added:-0.31 %

0.00% 0.20% 0.40%-0.20 %-0.40 %-0.60 %

Other

Manager Value Added

Asset Allocation

-0.09 %

-0.29 %

0.07%

Total Asset Allocation:0.07%

Average Active Weight

0.00% 0.80% 1.60%-0.80 %-1.60 %

Total Cash

Total Private Equity

Total Real Estate

Total Fixed Income

Total Global Equity

Total Non-U.S. Equity

Total U.S. Equity

We

igh

t

(%)

0.07%

0.49%

0.10%

-0.43 %

0.60%

-0.26 %

-0.56 %

Asset Allocation Value Added

0.00% 0.06% 0.12%-0.06 %-0.12 %

0.01%

-0.04 %

0.03%

0.00%

-0.03 %

0.04%

0.06%

Total Manager Value Added:-0.29 %

Manager Value Added

0.00% 2.00% 4.00%-2.00 %

0.00%

1.30%

0.02%

-0.94 %

-0.57 %

0.01%

-0.11 %

Total Defined Benefit Plan

Total Fund Attribution

1 Quarter Ending March 31, 2020


9

Total Fund Performance

-9.00 % -6.00 % -3.00 % 0.00%

Total Fund

Total Fund Benchmark

Total Value Added

-5.80 %

-4.80 %

-1.00 %

Total Value Added:-1.00 %

-1.36 % -1.02 % -0.68 % -0.34 % 0.00%

Other

Manager Value Added

Asset Allocation

-0.10 %

-0.86 %

-0.04 %

Total Asset Allocation:-0.04 %

Average Active Weight

0.00% 0.78% 1.56%-0.78 %-1.56 %

Total Cash


Total Real Estate

Total Fixed Income

Total Global Equity


Total U.S. Equity

We

igh

t

(%)

0.07%

0.54%

0.33%

-0.42 %

0.65%

-0.50 %

-0.66 %

Asset Allocation Value Added

0.00% 0.06% 0.12%-0.06 %-0.12 %

0.00%

0.00%

0.00%

-0.05 %

-0.04 %

0.03%

0.01%

Total Manager Value Added:-0.86 %

Manager Value Added

0.00% 2.00% 4.00%-2.00 %-4.00 %

0.00%

1.21%

-0.06 %

-1.21 %

-0.68 %

0.03%

-0.14 %


Total Fund Attribution

1 Year Ending March 31, 2020


10

-36.0

-28.0

-20.0

-12.0

-4.0

4.0

12.0

20.0

28.0

36.0

Re

turn

1Quarter

1Year

3Years

5Years

10Years

2019 2018 2017

Total Defined Benefit Plan -14.3 (76) -5.8 (68) 2.9 (49) 4.1 (30) 7.0 (14) 19.0 (16) -4.2 (66) 16.6 (20)¢

Policy Benchmark -14.0 (70) -4.8 (54) 3.3 (40) 4.1 (29) 6.9 (18) 21.0 (3) -4.8 (76) 16.3 (28)�

5th Percentile -5.5 1.7 5.0 5.0 7.4 20.5 0.5 17.7

1st Quartile -10.0 -2.4 3.8 4.1 6.6 18.3 -1.9 16.4

Median -12.2 -4.4 2.8 3.3 6.0 16.9 -3.5 15.6

3rd Quartile -14.3 -6.6 1.8 2.6 5.4 15.3 -4.6 14.2

95th Percentile -16.1 -8.8 0.2 1.0 3.4 12.1 -6.5 10.3

Population 141 141 137 137 133 164 126 101


Plan Sponsor Peer Group Analysis


All Public Plans > $1B-Total Fund

Parentheses contain percentile rankings.

11

Allocation

MarketValue

$%

Performance(%)

1Quarter

FYTD1

Year3

Years5

Years10

YearsSince

InceptionInception

Date

Total Defined Benefit Plan $11,532,537,533 100.0 -14.3 (76) -8.7 (69) -5.8 (68) 2.9 (49) 4.1 (30) 7.0 (14) 8.6 07/01/1983

Policy Benchmark -14.0 (70) -8.0 (59) -4.8 (54) 3.3 (40) 4.1 (29) 6.9 (18) 8.7

Total U.S. Equity $2,983,771,612 25.9 -21.3 (29) -13.3 (25) -9.8 (23) 3.5 (29) 5.5 (23) 10.1 (23) 9.2 07/01/1983

Dow Jones U.S. Total Stock Market -21.0 (27) -12.8 (18) -9.3 (18) 3.9 (21) 5.7 (22) 10.1 (22) 10.0

Total Non-U.S. Equity $1,182,191,152 10.3 -24.1 (55) -18.4 (62) -16.0 (61) -1.2 (31) 0.2 (33) 2.5 (73) 4.8 10/01/1991

MSCI All Country World ex-U.S. IMI* -24.1 (56) -18.5 (65) -16.3 (64) -2.3 (68) -0.7 (75) 2.1 (78) 4.9

Total Global Equity $2,030,509,360 17.6 -25.2 (79) -18.8 (77) -16.0 (75) -0.4 (65) 1.7 (61) 5.9 (60) 5.7 (37) 09/01/2005

MSCI All Country World IMI* -22.4 (63) -15.6 (57) -12.7 (57) 0.8 (52) 2.4 (51) 5.8 (64) 4.9 (53)

Total Fixed Income $3,757,131,853 32.6 -2.1 (74) 0.1 (76) 3.0 (77) 3.2 (73) 2.9 (66) 4.0 (62) 7.7 07/01/1983

Barclays Universal Bond Index* 1.3 (36) 3.9 (29) 7.2 (22) 4.4 (24) 3.4 (31) 4.0 (60) 7.7

Total Real Estate $815,451,561 7.1 1.3 2.9 3.0 5.9 7.8 9.9 6.7 12/01/2004

Performance Benchmark 0.8 3.1 3.9 5.9 7.3 10.0 8.5

Total Private Equity $754,941,496 6.5 3.6 11.0 16.7 15.3 14.0 13.8 5.4 09/01/2005

Dow Jones U.S. Total Stock Market + 3% -20.3 -10.9 -6.5 7.0 8.9 13.4 10.6

Total Cash $8,540,499 0.1

Allocation

MarketValue

($)%

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Total Cash Balance Benefit Plan 2,018,564,888 100.0 -14.2 (72) -5.7 (67) 2.9 (49) 4.1 (31) 6.9 (15) 6.9 (22) 01/01/2003

Policy Benchmark -14.0 (70) -4.8 (54) 3.3 (40) 4.1 (29) 6.9 (18) 7.0 (21)

Total U.S. Equity 520,076,840 25.8 -21.3 (29) -9.8 (23) 3.5 (29) 5.5 (23) 10.1 (23) 8.7 (18) 01/01/2003

Dow Jones U.S. Total Stock Market -21.0 (27) -9.3 (18) 3.9 (21) 5.7 (22) 10.1 (22) 8.9 (1)

Total Non-U.S. Equity 206,058,076 10.2 -24.1 (55) -16.0 (61) -1.2 (31) 0.2 (33) 2.5 (73) 5.8 (85) 01/01/2003

MSCI All Country World ex-U.S. IMI* -24.1 (56) -16.3 (64) -2.3 (68) -0.7 (75) 2.1 (78) 6.4 (76)

Total Global Equity 353,921,489 17.5 -25.2 (79) -16.0 (75) -0.4 (65) 1.7 (61) 5.9 (60) 5.7 (37) 09/01/2005

MSCI All Country World IMI* -22.4 (63) -12.7 (57) 0.8 (52) 2.4 (51) 5.8 (64) 4.9 (53)

Total Fixed Income 664,786,107 32.9 -2.0 (74) 3.0 (77) 3.2 (76) 2.8 (66) 3.9 (67) 4.5 (64) 01/01/2003

Barclays Universal Bond Index* 1.3 (36) 7.2 (22) 4.4 (24) 3.4 (31) 4.0 (60) 4.6 (63)

Total Real Estate 142,134,696 7.0 1.3 3.0 5.9 7.8 9.9 6.8 12/01/2004


Total Private Equity 131,587,681 6.5 3.6 16.7 15.3 14.0 13.8 5.4 09/01/2005

Dow Jones U.S. Total Stock Market + 3% -20.3 -6.5 7.0 8.9 13.4 10.6

Defined Benefit & Cash Balance Benefit Plans

Asset Allocation & Performance


*Denotes a performance benchmarkthat is a splice of more than one index. Decriptions can be found in the appendix of this report.Note: The Total Fixed Income market value for the Cash Balance Benefit plan includes the CBB-GICS & Money Market. Nebraska Investment Council

12

Total Fund

$ %

Total Defined Cont. & Deferred Comp. 1,019,767,349 100.0

Total Fund

$ %

Total Hartford Options 26,531,090 100.0

Defined Contribution & Deferred Compensation Plans

Asset Allocation


13

Total Fund

$ %

First National 4,461,545,211 100.0

Direct 2,025,753,984 45.4

TD 1,348,523,409 30.2

Advisor 1,087,267,819 24.4

A 965,357,044 21.6

C 121,910,775 2.7

Total Fund

$ %

Total State Farm College Savings Plan 536,404,430 100.0

State Farm Age-Based Investment Options 408,943,077 76.2

State Farm Static Investment Options 127,461,352 23.8

College Savings Plans

Asset Allocation



14

Allocation

MarketValue

($)

Performance(%)

1Quarter

1Year

3Years

SinceInception

InceptionDate

Enable Savings Plan 11,865,003

Growth Option 2,381,513 -17.0 -7.5 2.5 4.8 07/01/2016

Enable Benchmark Growth Option -17.0 -7.2 2.9 5.3

Moderate Option 1,553,148 -12.2 -3.8 2.9 4.4 07/01/2016

Enable Benchmark Moderate Option -12.4 -3.6 3.2 4.7

Conservative Option 1,213,502 -5.6 0.3 2.7 3.1 07/01/2016

Enable Benchmark Conservative Option -5.8 0.5 3.0 3.5

Bank Savings Option 5,019,547 0.3 1.3 0.9 0.8 07/01/2016

FTSE 3 Month T-Bill 0.4 2.0 1.7 1.5

Checking Option 1,697,294

.Inception

DateAllocation

Enable Savings Plan: Nebraska 10,197,805

Growth Option Nebraska 1,936,896 07/01/2016

Moderate Option Nebraska 1,382,894 07/01/2016

Conservative Option Nebraska 999,998 07/01/2016

Bank Savings Option Nebraska 4,608,563 07/01/2016

Checking Option Nebraska 1,269,454 07/01/2016

SinceInception

InceptionDate

Allocation

Enable Savings Plan: Alabama 1,667,197

Growth Option Alabama 444,617

Moderate Option Alabama 170,254

Conservative Option Alabama 213,504

Bank Savings Option Alabama 410,984

Checking Option Alabama 427,840

Enable Savings Plan



15

Allocation

MarketValue

($)%

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Total Health Care Endowment 379,569,014 100.0 -15.4 -6.3 2.7 3.8 7.1 5.9 01/01/2001

Health Care Policy -15.1 -6.0 3.0 4.1 6.9 5.2

Total US Equity 107,348,262 28.3 -21.4 -9.9 3.4 5.5 10.0 6.5 01/01/2002

Dow Jones U.S. Total Stock Market Index -21.0 -9.3 3.9 5.7 10.1 7.0

Total Non-US Equity 45,588,869 12.0 -24.1 -16.3 -2.2 -0.5 2.5 3.5 01/01/2001

MSCI All Country World ex-U.S. IMI* -24.1 -16.3 -2.3 -0.7 2.1 3.5

Total Global Equity 79,896,118 21.0 -27.2 -17.7 -1.4 1.0 5.6 5.4 09/01/2005

MSCI All Country World IMI* -22.4 -12.7 0.8 2.4 5.7 4.9

Total Fixed Income 99,847,878 26.3 4.2 7.7 3.9 2.7 2.3 4.0 07/01/1997


Total Real Estate 16,114,005 4.2

Total Private Equity 30,773,882 8.1

Allocation

MarketValue

($)%

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Total 50/50 Endowment 891,563,133 100.0 -10.1 -2.0 3.0 3.7 6.1 6.9 01/01/1996

50/50 Endowment Policy -9.6 -1.2 3.9 4.2 6.4 6.5

Total US Equity 142,541,851 16.0 -27.2 -18.1 -2.6 1.6 7.8 5.4 01/01/2002


Total Non-US Equity 61,092,268 6.9 -24.1 -16.3 -2.2 -0.5 2.0 3.3 01/01/2001





Blmbg. Barc. Universal Bond Index* 1.3 7.2 4.4 3.4 4.0 5.3



Endowment Breakout

Asset Class Performance


-Beginning December 2012, performance was calculated by Aon Hewitt Investment Consulting. Prior to December 2012, performance was calculated by State Street.*Denotes a performance benchmark that is a splice of more than one index. Descriptions can be found in the appendix of this report. Nebraska Investment Council

16

Allocation

MarketValue

($)%

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Total In-House Plans 10,022,316 100.0

Aeronautics 7,174,947 71.6 8.2 13.0 5.8 3.7 3.9 6.2 01/01/1990


Agricultural Development 2,847,368 28.4 8.3 13.2 5.9 3.7 4.0 6.4 01/01/1989


Allocation

MarketValue

($)%

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Total OIP 4,231,606,677 100.0 2.4 6.0 3.5 2.6 2.6 3.9 01/01/1997


Internal Short–Term Liquidity Pool 637,617,261 15.1 0.3 1.7 1.4 1.0 1.0 3.1 01/01/1997


Operating Investment Pool (Internal Government/Corporate) 3,593,989,416 84.9 2.8 6.8 3.9 2.8 2.6 11/01/2011

Performance Benchmark 3.4 7.6 3.9 2.9 2.7

Total Fund

$ %

Time Deposit Open Account 39,200,305 100.0

Total In House Trusts & OIP



The Internal Short-Term Liquidity Pool includes the DB STIF amount of $8,540,499. When summing the assets of all NIC plans, the DB STIF has beencounted in the DB Plan and removed from the In-House Plan to avoid double counting.

17


Watchlist

Summary of Funds Not Assigned a Green Status

Plan/FundStatus as of

1Q 2020Trigger Event AHIC Comment

Defined Benefit & CBBFranklin Templeton Yellow Significant Organization Change, Performance Continue to monitorBlackRock Core Plus Universal Yellow Performance Continue to monitorWellington Global Yellow Performance Continue to monitor

Defined ContributionDFA Small Cap Yellow Performance Continue to monitor

Hartford PlanT. Rowe Price Growth Stock Yellow Performance Continue to monitorLoomis Sayles Bond Yellow Performance Continue to monitorTempleton Foreign Bond Yellow Performance Continue to monitorGoldman Sachs Mid-Cap Value Yellow Weak Manager Research Rating, Adverse Change in Portfolio Manager Continue to monitorMutual Discovery Yellow Weak Manager Research Rating Continue to monitorOakmark Equity & Income Yellow Weak Manager Research Rating Continue to monitor

College Savings PlanFederated Total Return Bond Yellow Performance Continue to monitor

StatusNumber of Criteria Met Suggested Action

Less than 2 Active – No action required

2 to 3 Active – On “closely monitored” list

4 Closed – all allocations to the fund must be stopped, but accumulated balances may remain invested

Greater than 4 Closed Out – All invested balances must be moved to another active option

18

Manager Detail

19

Allocation

MarketValue

$% Policy(%)

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Total Defined Benefit Plan $11,532,537,533 100.0 100.0 -14.3 (76) -5.8 (68) 2.9 (49) 4.1 (30) 7.0 (14) 8.6 (-) 07/01/1983

Policy Benchmark -14.0 (70) -4.8 (54) 3.3 (40) 4.1 (29) 6.9 (18) 8.7 (-)

Total U.S. Equity $2,983,771,612 25.9 28.5 -21.3 (29) -9.8 (23) 3.5 (29) 5.5 (23) 10.1 (23) 9.2 (-) 07/01/1983

Dow Jones U.S. Total Stock Market -21.0 (27) -9.3 (18) 3.9 (21) 5.7 (22) 10.1 (22) 10.0 (-)

DFA $241,240,515 2.1 -32.5 (61) -26.6 (59) -7.1 (68) -1.3 (66) 6.9 (58) 9.6 (23) 10/01/1996

Russell 2000 Index* -30.6 (37) -24.0 (37) -4.6 (37) -0.2 (52) 6.3 (71) 7.8 (66)

BlackRock Russell 1000 Index $2,742,531,097 23.8 -20.2 (51) -8.0 (41) 4.7 (29) 6.3 (24) 10.4 (24) 6.6 (33) 10/01/2007

Russell 1000 Index -20.2 (52) -8.0 (42) 4.6 (30) 6.2 (25) 10.4 (24) 6.5 (34)

Total Non-U.S. Equity $1,182,191,152 10.3 11.5 -24.1 (55) -16.0 (61) -1.2 (31) 0.2 (33) 2.5 (73) 4.8 (-) 10/01/1991

MSCI All Country World ex-U.S. IMI* -24.1 (56) -16.3 (64) -2.3 (68) -0.7 (75) 2.1 (78) 4.9 (-)

BlackRock ACWI ex-U.S. IMI Index $1,182,191,152 10.3 -24.1 (51) -16.0 (49) - - - -8.4 (41) 12/01/2017

MSCI AC World ex USA IMI (Net) -24.1 (52) -16.3 (50) - - - -8.9 (46)

Total Global Equity $2,030,509,360 17.6 19.0 -25.2 (79) -16.0 (75) -0.4 (65) 1.7 (61) 5.9 (60) 5.7 (37) 09/01/2005


MFS $691,793,074 6.0 -21.9 (58) -10.8 (45) 2.4 (36) 3.7 (35) 8.1 (24) 7.5 (11) 10/01/2005


Arrowstreet $620,603,842 5.4 -22.5 (64) -14.4 (67) 1.3 (46) - - 4.7 (30) 09/01/2016

MSCI AC World IMI (Net) -22.4 (63) -12.7 (57) 0.8 (52) - - 3.1 (46)

Wellington Equity $202,726,382 1.8 -32.0 (90) -24.5 (72) -5.0 (60) - - -1.4 (59) 09/01/2016

MSCI AC World Small Cap (Net) -30.2 (74) -23.1 (69) -4.5 (59) - - -1.4 (59)

Dodge & Cox $515,386,059 4.5 -31.0 (88) -22.1 (85) - - - -7.0 (84) 07/01/2017

MSCI AC World IMI (Net) -22.4 (57) -12.7 (54) - - - -0.7 (45)




Performance for individual private equity accounts are provided separately in the private equity performance report. Nebraska Investment Council

20




Allocation

MarketValue

$% Policy(%)

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Total Fixed Income $3,757,131,853 32.6 30.0 -2.1 (74) 3.0 (77) 3.2 (73) 2.9 (66) 4.0 (62) 7.7 (-) 07/01/1983

Blmbg. Barc. Universal Bond Index* 1.3 (36) 7.2 (22) 4.4 (24) 3.4 (31) 4.0 (60) 7.7 (-)

BlackRock Core Plus Universal $532,172,872 4.6 0.1 (38) 5.7 (47) 4.0 (44) 3.2 (39) 4.4 (43) 5.6 (28) 04/01/1998

Blmbg. Barc. Universal Bond Index* 1.3 (25) 7.2 (23) 4.4 (25) 3.4 (28) 4.0 (68) 5.3 (54)

PIMCO $693,282,524 6.0 0.2 (38) 6.4 (33) 4.6 (16) 3.6 (14) 4.1 (63) 5.8 (18) 04/01/1998

Blmbg. Barc. Univeral Bond Index* 1.3 (25) 7.2 (23) 4.4 (25) 3.4 (28) 4.0 (68) 5.3 (54)

BlackRock Aggregate Bond Index $606,957,184 5.3 3.1 (16) 8.9 (15) 4.8 (17) 3.4 (22) 4.0 (46) 4.5 (48) 02/01/2006

Blmbg. Barc. Aggregate Bond Index 3.1 (16) 8.9 (15) 4.8 (17) 3.4 (26) 3.9 (53) 4.5 (56)

Loomis Sayles $214,407,875 1.9 -3.9 (84) 1.7 (84) 3.4 (71) 3.5 (16) 6.4 (1) 6.6 (1) 07/01/2006

Blmbg. Barc. Universal Bond Index* 1.3 (25) 7.2 (23) 4.4 (25) 3.4 (28) 3.9 (79) 5.1 (42)

Wellington Global $458,030,479 4.0 -1.0 (18) 3.1 (23) 3.4 (19) 2.4 (38) - 1.2 (60) 09/01/2014

Blmbg. Barc. Global Aggregate -0.3 (15) 4.2 (16) 3.6 (18) 2.6 (29) - 1.3 (57)

Loomis Sayles Bank Loans $296,062,796 2.6 -11.5 (27) -8.1 (45) -1.1 (69) 0.7 (76) - 1.0 (75) 06/01/2014

S&P/LSTA Leveraged Loan Index -13.0 (78) -9.2 (64) -0.8 (51) 1.1 (43) - 1.3 (44)

Franklin Templeton $302,043,124 2.6 -11.8 (32) -10.5 (85) -1.8 (87) 0.6 (78) - 0.9 (75) 07/01/2014

Credit Suisse Leveraged Loan (Split BB) -11.6 (29) -7.5 (31) -0.5 (43) 1.3 (33) - 1.6 (23)

Neuberger Berman Core Plus $608,325,053 5.3 -1.2 (59) 4.8 (58) 3.9 (45) - - 3.6 (52) 07/01/2015

Blmbg. Barc. Universal Bond Index 1.3 (25) 7.2 (23) 4.4 (25) - - 3.8 (27)

Opportunistic Fixed Income - PIMCO Bravo II $38,672,945 0.3

Opportunistic Fixed Income - Oaktree $6,982,174 0.1

Opportunistic Cash and Int Rec $161,105 0.0

Contributions and Withdrawals $33,722 0.0

Total Real Estate $815,451,561 7.1 6.0 1.3 3.0 5.9 7.8 9.9 6.7 12/01/2004


CB Richard Ellis Strategic $4,157,727 0.0

Prudential PRISA I $168,166,773 1.5

UBS Real Estate $132,308,891 1.1

Cornerstone Patriot Fund $18,332,773 0.2

Rockwood Capital Real Estate Fund IX $4,523,850 0.0

Prudential PRISA II $76,713,880 0.7

Five Arrows Realty $57,302 0.0

Heitman Value Partners II $41,721 0.0

RockPoint Fund III $1,013,540 0.0

Landmark Real Estate VI $2,154,459 0.0

Landmark Real Estate VII $18,998,062 0.2

AG Realty Fund VIII $5,875,549 0.1


21




Allocation

MarketValue

$% Policy(%)

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

UBS Trumbull Property Income $115,683,057 1.0

Almanac Realty Securities VII $14,616,427 0.1

Torchlight IV $2,790,216 0.0

Torchlight V $9,787,185 0.1

Rockwood Capital Real Estate Fund X $26,852,569 0.2

Landmark Real Estate VIII $10,890,792 0.1

Torchlight VI $19,462,064 0.2

Almanac Realty Securities VIII $3,608,164 0.0

Clarion Lion Properties Fund $176,635,548 1.5

Rockwood Capital Real Estate Fund XI $225,157 0.0

Real Estate Cash $2,555,857 0.0

Total Private Equity $754,941,496 6.5 5.0 3.6 16.7 15.3 14.0 13.8 5.4 09/01/2005

Dow Jones U.S. Total Stock Market + 3% -20.3 -6.5 7.0 8.9 13.4 10.6

Abbott Capital $7,227,631 0.1

Pathway $17,537,382 0.2

Sun Capital $3,754,466 0.0

Dover Street VIII $7,804,993 0.1

CMEA Ventures VII $4,521,078 0.0

New Mountain Partners III $16,624,640 0.1

New Mountain Partners IV $19,591,648 0.2

Citigroup Venture Capital International $3,112,239 0.0

Wayzata Opportunities Fund II $193,793 0.0

Resolute Fund II $7,521,169 0.1

Resolute Fund III $20,784,999 0.2

Accel KKR Capital Partners III $40,343 0.0

BridgePoint Europe IV $3,709,794 0.0

Quantum Energy Partners V $7,797,100 0.1

Quantum Energy Partners VI $25,953,785 0.2

CVC European Equity Partners VI $14,505,204 0.1

CVC European Equity Partners V $2,037,141 0.0

Fulcrum Growth Partners IV $8,215,236 0.1

Ares Corporate Opp Fund III $3,448,617 0.0

Ares Corporate Opp Fund IV $11,092,330 0.1

New Enterprise Associates 13 $12,097,019 0.1


Lincolnshire Equity Partners IV $7,248,054 0.1


22




Allocation

MarketValue

$% Policy(%)

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Longroad Capital Partners LP $57,709 0.0

Merit Mezzanine Fund V $5,721,470 0.0

Ares Mezzanine Fund Partners $53,661 0.0

Lightyear Fund III $1,582,507 0.0

EIF U.S. Power Fund IV $13,685,239 0.1

McCarthy Capital Fund V $8,568,528 0.1

Green Equity Investors VI $19,188,867 0.2

Wayzata Opp Fund III $3,516,543 0.0

Accel KKR Capital Partners IV $9,556,000 0.1

Beeker Petty O'Keefe & Co. IV $15,740,464 0.1

Pine Brook Capital Partners II $29,360,605 0.3

EMG III LP $18,624,805 0.2

Francisco Partners IV $22,215,699 0.2

Wynnchurch Capital Partners IV $19,506,130 0.2

BridgePoint Europe V $19,664,482 0.2

McCarthy Capital Fund VI $42,688,719 0.4

Dover Street IX $30,675,364 0.3

Green Equity Investors VII $39,140,349 0.3

Quantum Energy Investors VII $21,130,761 0.2

Ares Corporate Opp Fund V $35,961,322 0.3

Genstar Cap Ptr VIII L.P. $55,809,534 0.5

New Mountain Partners V $29,814,768 0.3

Francisco Partners V $25,212,942 0.2

Resolute Fund IV $25,773,753 0.2

BridgePoint Europe VI $7,737,987 0.1

Genstar Cap Ptr IX LP $10,158,705 0.1


Dover Street X $2,553,616 0.0

Private Equity Cash $7,668,947 0.1

Total Cash $8,540,499 0.1 0.0

STIF $8,540,499 0.1

The Inception-to-Date IRR for Real Estate is 6.9% as of 12/31/2019. The Inception-to-Date IRR for Private Equity is 12.1% as of 12/31/2019.

* Denotes a performance benchmark that is a splice of more than one index. Descriptions can be found in the appendix of this report.

The Private Equity asset class returns are time-weighted.


23

OSERS – Summary of Transition Activity During 1Q

Allocation as of

12/31/16 (%)

Allocationas of

12/31/17 (%)

Allocation as of

12/31/18 (%)

Allocation as of

12/31/19 (%)

Allocation as of

3/31/20 (%)

Transition Year 4 Target

Long-Term Target Asset

Allocation

U.S. Equity 13.4% 20.0% 18.7% 22.4% 19.5% 22.5% 27.0%

Non-U.S. Equity -- 9.6 8.6 9.6 8.2 9.5 11.5

Global Equity 18.5 13.4 13.1 15.5 13.4 16.0 19.0

Fixed Income (Core) 11.5 24.0 27.0 26.7 30.3 25.0 21.5

Fixed Income (RS) -- -- -- -- -- 2.0 8.5

Hedge Funds 9.1 2.4 1.0 0.6 0.6

25.0

--

Real Assets 14.9 3.4 3.6 1.4 1.6 --

Real Estate 21.1 15.8 15.5 12.2 12.9 7.5

Private Equity 10.3 11.2 12.5 11.6 13.5 5.0

Cash 1.4 -- -- -- -- -- --

Total Fund 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

OSERS finished 1Q underweight to traditional asset classes in aggregate relative to the Transition Year 4 Target allocation

– This was largely driven by a sell off in risk assets during 1Q that is not yet fully reflected in illiquid asset valuations

Within traditional asset classes, OSERS was meaningfully underweight to equities and overweight fixed income, the result of 1Q’sequity market decline

OSERS has not yet established an allocation to “Return-Seeking” (RS) fixed income

– We would suggest waiting to fund any allocation to return-seeking fixed income until the conclusion of the fixed income component review, which is currently in process

As of 3/31/2020, ≈28.6% of the OSERS portfolio was invested in legacy illiquid assets

Effectively all of what can be liquidated (without incurring a meaningful haircut) has already been liquidated; further transition activity towards Long-Term Target weightings is likely to be driven by distributions from the legacy illiquid managers

It will be several years before the Long-Term Target allocation is reached

24

Allocation

MarketValue

($)%

Performance(%)

1Quarter

FYTD1

Year3

Years5

Years10

Years

OSERS 1,173,601,424 100.0 -10.2 (27) -5.7 (28) -3.2 (34) 2.9 (50) 2.0 (87) 5.0 (83)

Policy Index -9.6 (19) -4.0 (9) -1.0 (12) 4.6 (11) 4.3 (21) 7.0 (12)

U.S. Equity Composite 229,002,930 19.5 -21.3 (29) -12.6 (24) -9.8 (23) 3.5 (29) 2.9 (83) 9.0 (74)

Custom U.S. Equity Index -21.0 (27) -12.3 (23) -9.3 (18) 3.9 (21) 4.9 (37) 9.8 (37)

BlackRock Russell 1000 Index 211,065,813 18.0 -20.2 (47) -11.4 (42) -8.0 (43) 4.6 (36) - -

Russell 1000 Index -20.2 (47) -11.5 (42) -8.0 (43) 4.6 (36) - -

Dimensional Fund Advisors 17,937,118 1.5 -32.5 (61) -24.4 (52) -26.6 (60) - - -

Russell 2000 Index -30.6 (37) -22.1 (28) -24.0 (37) - - -

Global Equity Composite 157,277,779 13.4 -25.2 (79) -17.2 (78) -16.1 (75) -0.7 (66) 2.3 (53) 6.0 (58)

Custom Global Equity Index -22.4 (63) -13.6 (54) -12.7 (57) 0.8 (52) 2.4 (52) 5.7 (66)

Arrowstreet 48,359,814 4.1 -22.5 (64) -14.1 (59) -14.5 (67) 1.2 (47) - -

MSCI AC World IMI (Net) -22.4 (63) -13.6 (54) -12.7 (57) 0.8 (52) - -

MFS 52,396,647 4.5 -21.9 (58) -15.4 (68) -10.8 (45) 2.3 (37) - -

MSCI AC World IMI (Net) -22.4 (63) -13.6 (54) -12.7 (57) 0.8 (52) - -

Wellington Equity 18,459,490 1.6 -32.0 (90) -24.5 (97) -24.5 (72) -5.0 (60) - -

MSCI AC World Small Cap (Net) -30.2 (74) -21.8 (78) -23.1 (69) -4.5 (59) - -

Dodge & Cox 38,061,828 3.2 -31.1 (88) -20.9 (83) -22.2 (85) - - -

MSCI AC World IMI (Net) -22.4 (57) -13.6 (50) -12.7 (54) - - -

International Equity Composite 96,505,323 8.2 -24.1 (51) -14.9 (53) -16.6 (52) -2.3 (48) - -

MSCI AC World ex USA IMI (Net) -24.1 (52) -15.0 (53) -16.3 (50) -2.3 (48) - -

BlackRock ACWI ex-U.S. IMI Index 96,505,323 8.2 -24.1 (51) -14.9 (53) -16.1 (50) - - -

MSCI AC World ex USA IMI (Net) -24.1 (52) -15.0 (53) -16.3 (50) - - -

OSERS



Fiscal Year ends August 31.

25

OSERS



Allocation

MarketValue

($)%

Performance(%)

1Quarter

FYTD1

Year3

Years5

Years10

Years

Total Fixed Income 355,211,931 30.3 1.0 (39) 0.9 (34) 6.9 (24) 4.4 (24) -0.7 (98) -

Custom Fixed Income Index 1.3 (36) 1.3 (25) 7.2 (22) 4.4 (24) 3.1 (48) -

BlackRock Aggregate Bond Index 147,041,799 12.5 3.1 (17) 2.8 (14) 8.9 (15) 4.9 (16) - -

Blmbg. Barc. U.S. Aggregate 3.1 (16) 2.8 (14) 8.9 (15) 4.8 (17) - -

BlackRock Core Plus Universal 56,294,943 4.8 0.1 (38) 0.4 (33) 5.6 (47) 4.0 (44) - -

Blmbg. Barc. Universal Bond Index 1.3 (25) 1.3 (22) 7.2 (23) 4.4 (25) - -

PIMCO 75,633,770 6.4 0.2 (38) -0.5 (50) 6.4 (33) 4.5 (22) - -


Neuberger Berman Core Plus 72,566,822 6.2 -1.2 (59) -0.9 (56) 4.8 (57) 4.0 (43) - -


OSERS Contributions & Withdrawals 3,674,598 0.3

Hedge Fund Composite 6,975,482 0.6 0.0 0.0 0.0 -4.6 -5.2 -

HFRI RV: Multi-Strategy Index -6.1 -4.0 -3.8 0.3 1.5 -

Vaquero EMD 6,963,543 0.6 0.0 0.0 0.0 -8.0 -5.4 -

Blmbg. Barc. Emerging Markets USD Aggregate Index -9.5 -7.6 -2.9 1.5 3.3 -

Hedge Fund Cash 11,938 0.0

Real Asset Composite 18,553,519 1.6 -0.8 -2.5 -5.5 -3.9 -4.3 -

Custom Real Asset Benchmark 1.5 3.6 6.2 6.7 1.2 -

BTG 3,316,983 0.3

JP Morgan Global Maritime 15,173,511 1.3

Real Asset Cash 63,025 0.0

Private Equity Composite 158,813,315 13.5 3.3 3.4 9.3 11.3 8.2 -

Burgiss All US PE (1-Qtr Lag) 4.0 9.7 15.3 14.5 12.5 -

AAVIN Mezzanine Credit Funds 27,661,400 2.4

FCP Capital 13,426,659 1.1

SPC Capital 81,258,063 6.9

Stonetree Capital 33,833,476 2.9

Private Equity Cash 2,633,717 0.2


26

OSERS



Allocation

MarketValue

($)%

Performance(%)

1Quarter

FYTD1

Year3

Years5

Years10

Years

Real Estate Composite 151,261,146 12.9 1.6 1.8 1.1 2.3 4.3 -

NCREIF Property Index 0.7 3.7 5.3 6.4 7.6 -

25 Capital Residential Mortgage Opp. Fund 16,958,717 1.4

Mariner IV 54,463,026 4.6

Almanac Realty Securities VI 4,441,651 0.4

Almanac Realty Securities VII 12,873,068 1.1

JPM Strategic 15,525,509 1.3

JP Morgan India Property Fund II 13,996,952 1.2

Mariner III 18,392,193 1.6

UBS Trumbull 14,029,136 1.2

Real Estate Cash 580,893 0.0


27

OSERS Private Markets Manager IRR Summary (Through 12/31/2019)

*Total Commitments include commitments to Real Estate funds that have already wound down.

Private Equity Portfolio

Total Commitments

Periodic IRR as of 12/31/2019

Investment Vintage Year QTD YTD 1-Year 3-Year 5-Year Inception

SPC I-IV 2001 $163,958,323 1.91% 5.22% 5.22% 10.97% 7.09% 5.73%

FCP Fund II 2011 30,000,000 -2.95% 7.45% 7.45% 8.00% 11.93% 8.46%

Stonetree IV 2012 53,152,755 1.81% 5.78% 5.78% 11.35% 6.38% 6.31%

AAVIN Mezzanine Fund, LP 2014 5,000,000 13.90% 49.65% 49.65% 20.04% 10.32% 10.21%

AAVIN Equity Partners II, LP 2015 25,000,000 12.52% 28.65% 28.65% 14.67% N/A 11.27%

Total Private Equity Portfolio $277,111,078 3.25% 9.38% 9.38% 11.23% 7.91% 6.21%

Real Assets Portfolio

Total Commitments



BTG Pactual Timberland 2004 $25,000,000 -0.29% -0.85% -0.85% -8.10% -5.07% 1.21%

JP Morgan Maritime Global 2010 25,000,000 -0.95% -8.70% -8.70% 4.39% -8.10% -7.29%

Total Real Assets Portfolio $50,000,000 -0.83% -5.07% -5.07% -3.28% -6.36% -0.88%

Real Estate Portfolio

Total Commitments



UBS Trumbull Property Fund 1995 $33,615,067 -0.13% -2.82% -2.82% 2.98% 5.76% 10.31%

JPMorgan Strategic Property Fund 1998 48,165,726 2.32% 3.87% 3.87% 5.57% 6.18% 9.61%

Almanac Realty Securities Fund VI, L.P. 2011 25,000,000 -0.89% -3.25% -3.25% -0.32% 8.10% 11.44%

Mariner Real Estate Partners III, L.P. 2011 50,000,000 4.73% 8.47% 8.47% 0.67% 4.46% 9.38%

25 Capital Residential Mortgage Opportunities Fund 2012 50,000,000 -8.44% -4.19% -4.19% -0.48% 1.72% 3.89%

JP Morgan India Property Fund II 2012 25,000,000 -8.89% -17.70% -17.70% -21.96% -15.56% -12.96%

Mariner Real Estate Partners IV, L.P. 2014 60,000,000 4.44% 10.34% 10.34% 9.02% 12.64% 14.50%

Almanac Realty Securities Fund VII, L.P. 2015 30,000,000 8.43% 14.94% 14.94% 15.30% N/A 14.21%

Total Real Estate Portfolio $361,338,022 1.21% 3.61% 3.61% 2.24% 5.06% 8.64%

28

Allocation

MarketValue

($)%

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Total Defined Cont. & Deferred Comp. 1,019,767,349 100.0

DFA Small Cap 35,285,145 3.5 -32.7 -27.1 -7.7 -1.8 6.7 6.9 01/01/2001

Russell 2000 Index -30.6 -24.0 -4.6 -0.2 6.9 6.0

Russell 1000 Growth Index Fund 65,898,688 6.5 -14.0 0.9 11.2 10.3 13.0 5.5 10/01/1999

Russell 1000 Growth Index -14.1 0.9 11.3 10.4 13.0 5.4

Russell 1000 Value Index Fund 34,681,681 3.4 -26.7 -17.1 -2.1 2.0 7.7 5.6 10/01/1999

Russell 1000 Value Index -26.7 -17.2 -2.2 1.9 7.7 5.5

U.S. Equity Index Fund 170,089,440 16.7 -19.6 -7.0 5.1 6.7 10.6 6.6 01/01/1998

S&P 500 Index -19.6 -7.0 5.1 6.7 10.5 6.5

BlackRock All-Country World ex-U.S. Index Fund 25,269,378 2.5 -23.3 -15.5 -1.8 -0.5 2.2 3.6 07/01/2005

MSCI AC World ex USA Index (Net) -23.4 -15.6 -2.0 -0.6 2.1 3.5

U.S. Debt Index Fund 20,039,734 2.0 3.0 8.8 4.8 3.3 3.9 5.1 01/01/1998

Blmbg. Barc. U.S. Aggregate 3.1 8.9 4.8 3.4 3.9 5.0

T. Rowe Stable Value 129,936,257 12.7 0.5 2.1 2.0 1.9 2.1 4.1 01/01/1997


SSgA STIF 12,422,225 1.2 0.4 2.1 1.8 1.3 0.7 2.2 01/01/1998

Barclays 90-Day T-Bill Index 0.6 2.3 1.8 1.2 0.7 2.1

Conservative Premixed 56,921,034 5.6 -4.4 2.4 3.9 3.4 4.7 4.8 10/01/1999

Conservative Policy -4.0 2.9 4.0 3.4 4.7 4.6

Moderate Premixed 372,091,628 36.5 -9.6 -0.9 3.9 4.1 6.5 5.5 10/01/1999

Moderate Policy -10.0 -1.2 3.8 4.1 6.4 5.3

Aggressive Premixed 79,845,709 7.8 -16.0 -6.4 2.9 4.1 7.5 5.5 10/01/1999

Aggressive Policy -16.2 -6.4 3.1 4.2 7.4 5.5

Investor Select Fund 17,286,430 1.7 -15.5 -6.5 2.4 3.2 6.7 5.9 10/01/2005

Performance Benchmark -15.7 -6.5 2.6 3.5 6.6 5.6

Total Defined Cont. & Deferred Comp.




29

Allocation

MarketValue

($)%

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Total Endowment 1,241,740,423 100.0

Total U.S. Equity 249,890,113 20.1 -24.8 -14.8 -0.2 3.2 8.7 5.7 01/01/2002


DFA 20,770,112 1.7 -32.7 -27.1 -7.7 -1.8 6.6 7.6 01/01/2002

Russell 2000 Index* -30.6 -24.0 -4.6 -0.2 6.3 6.6

BlackRock Russell 1000 (Healthcare Endowment) 98,590,779 7.9 -20.2 -8.0 4.7 6.3 - 9.9 02/01/2013

Russell 1000 Index -20.2 -8.0 4.6 6.2 - 9.9

BlackRock Russell 1000 Value Index 130,511,281 10.5 -26.6 -17.2 -2.1 1.9 - 7.2 12/01/2012

Russell 1000 Value Index -26.7 -17.2 -2.2 1.9 - 7.3

BlackRock Russell 1000 Index 17,941 0.0

Total Non-U.S. Equity 106,681,077 8.6 -24.1 -16.3 -2.2 -0.5 2.0 3.1 01/01/2001


BlackRock All Country World ex-U.S. IMI 106,596,792 8.6 -24.1 -16.3 -2.4 -0.7 2.0 2.7 01/01/2001


Non-U.S. Equity Cash 84,285 0.0



MFS 76,067,115 6.1 -22.0 -10.9 2.4 3.7 8.0 7.3 10/01/2005


Wellington Equity 22,703,130 1.8 -32.2 -25.5 -5.7 - - -2.5 12/01/2016

MSCI AC World Small Cap (Net) -30.2 -23.1 -4.5 - - -1.8

Dodge & Cox 71,294,226 5.7 -31.0 -22.1 - - - -7.1 07/01/2017

MSCI AC World IMI (Net) -22.4 -12.7 - - - -0.7

Mondrian 2,376 0.0

Total Endowment



*Denotes a performance benchmark that is a splice of more than one index. Descriptions can be found in the appendix of this report. Nebraska Investment Council

30

Total Endowment



Allocation

MarketValue

($)%

Performance(%)

1Quarter

1Year

3Years

5Years

10Years

SinceInception

InceptionDate



PIMCO 131,999,694 10.6 0.7 6.4 4.4 3.4 4.0 5.5 04/01/1998


Loomis Sayles 34,598,501 2.8 -3.5 2.1 3.5 3.3 5.9 6.1 07/01/2006


BlackRock Aggregate Bond Index 263,244,743 21.2 3.1 8.9 4.9 3.4 4.0 4.4 12/01/2006

Blmbg. Barc. U.S. Aggregate 3.1 8.9 4.8 3.4 3.9 4.4

Neuberger Berman Core Plus 128,195,515 10.3 -1.1 4.8 3.8 - - 3.6 07/01/2015

Blmbg. Barc. Universal Bond Index 1.3 7.2 4.4 - - 3.8


Metropolitan Real Estate Partners (Combined) 2,781,532 0.2

Prudential PRISA 9,534,705 0.8

UBS Trumbull 11,574,015 0.9

Cornerstone Patriot Fund 2,330,443 0.2

Landmark VII 3,346,421 0.3

UBS Trumbull Property Income 6,578,728 0.5

MREP SCIF 5,290,957 0.4

Real Estate Cash 4,072,119 0.3


Abbott Capital VI 25,147,278 2.0

Abbott Capital VII 21,558,585 1.7

RCP Fund VII 13,954,874 1.1

RCP Fund VIII 8,674,380 0.7

Dover Street VIII L.P. 5,499,255 0.4

Ironside Partnership Fund V 14,187,168 1.1

Dover Street X L.P. 959,589 0.1

Private Equity Cash 6,195,207 0.5

Inception-to-date IRR for Real Estate 9.4% as of 12/31/2019. The Inception-to-Date IRR for Private Equity is 15.3% as of 12/31/2019.

*Denotes a performance benchmark that is a splice of more than one index. Descriptions can be found in the appendix of this report. Nebraska Investment Council

31

Defined Benefit & Cash Balance Benefit Fees


1. Total Fee (in dollars) of trailing 12-month period as of 12/31/2019.2. Total Fee (in dollars) of trailing 12-month period as of 12/31/2019.

ManagerAssets

($ in dollars)Total Fee


(bps)

DFA – U.S. Small Cap $283,289,177 $934,854 33

BlackRock Russell 1000 Index $3,220,559,274 $434,776 1

BlackRock ACWI ex-U.S. IMI $1,388,249,228 $852,950 6

Arrowstreet $728,776,225 $3,350,717 46

MFS Global Equity $812,373,869 $3,117,623 38

Dodge & Cox $605,218,790 $3,752,357 62

Wellington Global Equity $238,061,961 $1,847,403 78

BlackRock Core Plus $624,931,575 $1,049,932 17

PIMCO Total Return $814,122,934 $1,886,391 23

BlackRock Bond Index $712,750,929 $142,550 2

Wellington Global $537,866,027 $1,452,238 27

Loomis Sayles Multi-Sector Full Discretion $251,779,559 $755,339 30

Loomis Sayles Bank Loans $347,667,082 $1,440,668 41

Franklin Templeton $357,351,966 $1,500,732 42

Neuberger Berman $714,357,221 $1,142,972 16

Total RE1 $957,586,257 $10,153,223 106

Total PE2 $886,529,177 $11,956,319 135

Residual Manager Value $63,752,845 $0 --

Annual Fee Paid to Nebraska Investment Council -- $1,258,411 1

Total DB/CBB $13,545,224,096 $47,029,453 35

32

Market ValueAs of

03/31/2020$000

% of PortfolioEstimated

Annual Fee$000

EstimatedAnnual Fee

(%)

Total Defined Cont. & Deferred Comp. 1,019,767 100.00 839 0.08

DFA Small Cap 35,285 3.46 131 0.37

Russell 1000 Growth Index Fund 65,899 6.46 13 0.02

Russell 1000 Value Index Fund 34,682 3.40 7 0.02

U.S. Equity Index Fund 170,089 16.68 26 0.02

BlackRock All-Country World ex-U.S. Index Fund 25,269 2.48 25 0.10

U.S. Debt Index Fund 20,040 1.97 6 0.03

T. Rowe Stable Value 129,936 12.74 260 0.20

SSgA STIF 12,422 1.22 - 0.00

Conservative Premixed 56,921 5.58 34 0.06

Moderate Premixed 372,092 36.49 223 0.06

Aggressive Premixed 79,846 7.83 56 0.07

Investor Select Fund 17,286 1.70 59 0.34

Total Defined Cont. & Deferred Comp.

Fee Schedule**


** In addition to the fees listed above, $113,844 (˜1 bp on assets) in annual fees are paid to the Nebraska Investment Council. Nebraska Investment Council

33

Market ValueAs of

03/31/2020$000


Annual Fee$000

EstimatedAnnual Fee

(%)

OSERS 1,173,601 100.00 6,105 0.52

BlackRock Russell 1000 Index 211,066 17.98 28 0.01

Dimensional Fund Advisors 17,937 1.53 66 0.37

BlackRock ACWI ex-U.S. IMI 96,505 8.22 58 0.06

Arrowstreet 48,360 4.12 222 0.46

MFS 52,397 4.46 220 0.42

Wellington Equity 18,459 1.57 144 0.78

Dodge & Cox 38,062 3.24 240 0.63

BlackRock Aggregate Bond Index 147,042 12.53 29 0.02

BlackRock Core Plus Universal 56,295 4.80 113 0.20

PIMCO 75,634 6.44 197 0.26

Neuberger Berman Core Plus 72,567 6.18 116 0.16

BTG 3,317 0.28 33 1.00

JP Morgan Global Maritime 15,174 1.29 228 1.50

AAVIN Mezzanine Credit Funds 27,661 2.36 692 2.50

FCP Capital 13,427 1.14 269 2.00

SPC Capital 81,258 6.92 569 0.70

Stonetree Capital 33,833 2.88 338 1.00

Vaquero EMD 6,964 0.59 139 2.00

25 Capital Residential Mortgage Opp. Fund 16,959 1.45 339 2.00

Almanac Realty Securities VI 4,442 0.38 44 1.00

Almanac Realty Securities VII 12,873 1.10 161 1.25

JP Morgan India Property Fund II 13,997 1.19 210 1.50

JPM Strategic 15,526 1.32 155 1.00

Mariner III 18,392 1.57 276 1.50

Mariner IV 54,463 4.64 1,089 2.00

UBS Trumbull 14,029 1.20 129 0.92

Real Estate Cash 581 0.05 - 0.00

Private Equity Cash 2,634 0.22 - 0.00

Hedge Fund Cash 12 0.00 - 0.00

OSERS Contributions & Withdrawals 3,675 0.31 - 0.00

OSERS

Fee Schedule


Alternative strategy fees in the table above represent asset based management fees. Additional performance based fees are charged by each manager.In addition to the fees listed above, $124,143 (˜1 bp on assets) in annual fees is paid to the Nebraska Investment Council

34

Market ValueAs of

03/31/2020$000


Annual Fee$000

EstimatedAnnual Fee

(%)

Total Hartford Options (Less General Fund) 19,499 100.00 205 1.05

American Century Value 115 0.59 2 1.33

American Funds Growth Fund of America 668 3.43 7 1.03

Hartford Capital Appreciation HLS 11,513 59.04 117 1.02

Harford Dividend & Growth HLS 237 1.22 2 1.02

SSgA S&P 500 Flagship 414 2.12 3 0.70

T. Rowe Price Growth Stock 1,173 6.01 15 1.28

Goldman Sachs Mid-Cap Value 106 0.55 2 1.49

Munder Mid-Cap Core Growth 48 0.24 1 1.72

SSgA S&P MidCap Index 160 0.82 1 0.75

Hartford Small Company HLS 495 2.54 5 1.06

Skyline Special Equities Portfolio 186 0.96 3 1.68

SSgA Russell 2000 Index 34 0.17 - 0.75

American Funds EuroPacific Growth 126 0.65 1 1.19

Hartford International Opportunities HLS 523 2.68 6 1.09

Mutual Discovery 95 0.49 2 1.63

Hartford Total Return Bond HLS 807 4.14 7 0.85

Loomis Sayles Bond 415 2.13 5 1.26

Putnam High-Yield Advantage 83 0.43 1 1.38

Hartford Balanced HLS 1,965 10.08 20 1.00

Templeton Foreign Fund 24 0.12 - 1.51

Oakmark Equity & Income 312 1.60 4 1.40

Total Hartford Options (Less General Fund)

Fee Schedule**


** In addition to the fees listed above, $3,062 (˜1 bp on assets) in annual fees are paid to the Nebraska Investment Council.The General Fund is not included in the above table. Nebraska Investment Council

35

Fee Schedule

Vanguard REIT Index 0.42 % of Assets

Vanguard REIT Index ETF 0.12 % of Assets

Tributary Small Company 1.18 % of Assets

iShares Russell 2000 Growth Index ETF 0.25 % of Assets

State Street S&P 500 Index 0.02 % of Assets

Vanguard Russell 1000 Value Index 0.40 % of Assets

T. Rowe Price Large Cap Growth 0.65 % of Assets

Vanguard Equity Income 0.50 % of Assets

SPDR S&P Dividend ETF 0.35 % of Assets

Vanguard Extended Market Index 0.37 % of Assets

Vanguard Extended Market ETF 0.09 % of Assets

State Street MSCI ACWI Ex-Us Index 0.09 % of Assets

Vanguard FTSE Emerging Markets ETF 0.15 % of Assets

DFA World ex-US Government Fixed Income 0.20 % of Assets

Vanguard Short-Term Inflation-Protected Index 0.36 % of Assets

Vanguard Short-Term Inflation-Protected ETF 0.08 % of Assets

Vanguard Inflation Protected Securities 0.07 % of Assets

MetWest Total Return 0.39 % of Assets

Dodge & Cox Stock 0.52 % of Assets

American Funds The Income Fund of America A 0.38 % of Assets

Vanguard Total Bond Market Index 0.35 % of Assets

Federated Total Return Bond 0.36 % of Assets

iShares Core US Aggregate ETF A 0.08 % of Assets

Goldman Sachs Financial Square Gov't Money Market 0.50 % of Assets

Vanguard Total Stock Market Index 0.04 % of Assets

Vanguard Total Stock Market Index ETF 0.05 % of Assets

Vanguard Short-Term Bond Index 0.06 % of Assets

Vanguard Short-Term Bond ETF 0.09 % of Assets

Bank Savings Static 0.00 % of Assets

Total CSP of Nebraska

Fee Schedule**


** In addition to the fees listed above, $530,810 (˜1 bp on assets) in annual fees are paid to the Nebraska Investment Council.Includes funds in the First National Direct Plan, First National Advisor Plan, and First National TD Ameritrade Plan. Nebraska Investment Council

36

Fee Schedule

Growth Option Nebraska 0.54 % of Assets

Growth Option Alabama 0.55 % of Assets

Moderate Option Nebraska 0.54 % of Assets

Moderate Option Alabama 0.55 % of Assets

Conservative Option Nebraska 0.55 % of Assets

Conservative Option Alabama 0.56 % of Assets

Bank Savings Option Nebraska 0.50 % of Assets

Bank Savings Option Alabama 0.50 % of Assets

Checking Option Nebraska 0.00 % of Assets

Checking Option Alabama 0.00 % of Assets

Enable Savings Plan

Fee Schedule


In addition to the fees listed above, $835 (˜1 bp on assets) in annual fees are paid to the Nebraska Investment Council.Nebraska Investment Council

37

Market ValueAs of

03/31/2020$000

EstimatedAnnual Fee

$000

EstimatedAnnual Fee

(%)

Age-Based 0-2 3,026 18 0.58

Age-Based 3-5 17,454 101 0.58

Age-Based 6-8 42,071 244 0.58

Age-Based 9-10 38,768 225 0.58

Age-Based 11-12 49,085 290 0.59

Age-Based 13-14 57,599 346 0.60

Age-Based 15-16 75,964 456 0.60

Age-Based 17-18 67,748 413 0.61

Age-Based 19+ 57,227 355 0.62

All Equity Static 64,209 372 0.58

Balanced Static 2,123 13 0.60

Bank Savings Static 3,098 6 0.20

Conservative Static 2,137 13 0.62

Growth Static 32,070 186 0.58

Moderate Growth Static 14,579 86 0.59

Money Market Static 9,246 43 0.46

State Farm

Fee Schedule



38

Market ValueAs of

03/31/2020$000


Annual Fee$000

EstimatedAnnual Fee

(%)

Total Endowment 1,241,740 100.00 1,877 0.15

DFA 20,770 1.67 77 0.37

BlackRock Russell 1000 (Healthcare Endowment) 98,591 7.94 13 0.01

BlackRock Russell 1000 Value Index 130,511 10.51 18 0.01

BlackRock All Country World ex-U.S. IMI 106,597 8.58 64 0.06

Dodge & Cox 71,294 5.74 449 0.63

MFS 76,067 6.13 351 0.46

PIMCO 132,000 10.63 347 0.26

BlackRock Aggregate Bond Index 263,245 21.20 53 0.02

Loomis Sayles 34,599 2.79 119 0.34

Neuberger Berman Core Plus 128,196 10.32 205 0.16

Wellington Equity 22,703 1.83 182 0.80

Total Endowment

Fee Schedule**


** In addition to the fees listed above, $139,452 (˜1 bp on assets) in annual fees are paid to the Nebraska Investment Council.Note: Fees for the Real Estate and Private Equity portions of the Endowment appear in a later table. Nebraska Investment Council

39

Partnership NameInvestment

Vintage YearCommitment

AmountMarketValue

Total Trailing Year Annual Fee


(bps of current NAV)

Core

Barings Core Property Fund LP 2010 110,000,000 66,218,134 617,094 93

PRISA II 2007 51,500,000 90,085,249 972,042 108

PRISA SA 2006 135,000,000 199,184,371 1,630,373 82

UBS Trumbull Property Fund 2006 115,000,000 155,644,956 1,112,087 71

UBS Trumbull Property Income Fund 2015 120,000,000 136,118,197 1,046,914 77

Lion Properties Fund 2018 152,000,000 162,333,385 1,030,405 63

Core 2006 683,500,000 809,584,292 6,408,915 79

Value Added

Almanac Realty Securities V, LP 2008 25,000,000 230,780 10,677 463

Almanac Realty Securities VII 2015 40,000,000 17,445,257 286,166 164

Almanac Realty Securities VIII 2018 40,000,000 3,398,417 500,000 1471

Heitman Value Partners II 2007 25,000,000 50,051 0 0

Rockwood Capital Real Estate Partners Fund IX 2012 20,000,000 5,312,365 187,931 354

Rockwood Capital Real Estate Partners Fund X 2016 40,000,000 32,164,614 532,000 165

Rockwood Capital Real Estate Partners Fund XI 2019 40,000,000 -286,940 0 0

Value Added 2007 230,000,000 58,314,544 1,516,774 260

Opportunistic

AG Realty Fund VIII 2012 25,000,000 6,899,671 1,840 3

CBRE Strategic Partners U.S. Opportunity 5 2008 25,000,000 5,088,712 0 0

Landmark Real Estate Fund VI 2010 40,000,000 2,791,781 49,821 178

Landmark Real Estate Fund VII 2014 50,000,000 23,109,651 334,020 145

Landmark Real Estate Fund VIII 2017 40,000,000 12,943,986 455,847 352

Rockpoint Real Estate Fund III 2007 25,000,000 1,181,632 35,464 300

Torchlight Debt Opportunity Fund VI 2018 40,000,000 3,276,556 632,152 1929

Torchlight Debt Opportunity Fund V 2015 40,000,000 14,082,186 881,475 626

Torchlight Debt Opportunity Fund IV 2013 20,000,000 15,692,185 -163,085 -104

Opportunistic 2008 305,000,000 85,066,360 2,227,534 262

Total Current Portfolio

NIC - Defined Benefit 2005 1,218,500,000 952,965,196 10,153,223 107

Real Estate – Defined Benefit


Total Trailing Year Annual Fee (bps) calculated as fees out of the net asset value.

40

Real Estate – Endowment


Total Trailing Year Annual Fee (bps) calculated as fees out of the net asset value.

Partnership NameInvestment

Vintage YearCommitment

AmountMarketValue



(bps of current NAV)

Core

Barings Core Property Fund LP 2010 11,500,000 7,168,157 55,655 78

Lion Properties Fund 2019 11,500,000 10,560,679 31,911 30

PRISA LP 2009 6,000,000 9,616,110 58,986 61

UBS Trumbull Property Fund 2010 8,500,000 11,704,826 64,220 55

Core 2010 37,500,000 39,049,772 210,772 224

Core Debt

UBS Trumbull Property Income Fund 2016 6,000,000 6,644,553 38,705 58

Core Debt 2016 6,000,000 6,644,553 38,705 58

Opportunistic

Landmark Real Estate Fund VII 2014 7,500,000 3,466,448 39,856 115

Metropolitan Real Estate Partners International III, L.P. 2014 10,000,000 1,240,508 16,056 129

Metropolitan Real Estate Partners VI, L.P.* 2008 20,000,000 1,541,709 21,321 138

Metropolitan Real Estate Secondaries and Co-Investments Fund, L.P. 2015 10,000,000 5,553,802 89,730 162

Opportunistic 2009 47,500,000 11,802,467 166,964 141

Total Current Portfolio

NIC - Endowment 2009 91,000,000 57,496,792 416,441 72

41

Private Equity – Defined Benefit


Partnership NameVintage

YearCommitment

Fee Schedule1

(on an Annual Basis)

YTD Management

Fee

Total Fees (bps)

Defined Benefit Portfolio

Abbott Capital Private Equity Fund V, L.P.2*

2005 $50,000,000 .80% Years 1-7

declines by 10% years 8-10$199,928 80

Pathway Private Equity Fund XVIII, LLC 2006 100,000,000 1.00% Years 1-10 460,706 100

TRG Growth Partnership II, L.P. 2006 25,000,000 1.50% Years 1-5

1.25% Years 6-1010,080 150

New Mountain Partners III, L.P. 2007 25,000,000 1.75% Years 1-5

1.00% Years 6-100 175

Presidio Partners 2007, L.P.* 2007 20,000,000 2.25% 104,750 225

Sun Capital Partners V, L.P. 2007 18,002,649 2.00% Years 1-6

2.00% - distributions years 7-101,389 200

The Resolute Fund II, L.P. 2007 25,000,000 2.00% Years 1-5

1.00% Years 6-100 200

Wayzata Opportunities Fund II, L.P.* 2007 15,000,000 1.75% Years 1-5

1.50% Years 6-100 175

Accel-KKR Capital Partners III, L.P. 2008 12,500,000 2.25% Years 1-10 91,892 225

Ares Corporate Opportunities Fund III, L.P. 2008 20,000,000 1.75% Years 1-5

1.125% Years 6-1042,038 175

Bridgepoint Europe IV, L.P.3

2008 26,000,000 1.50% Years 1-5

1.00% Years 6-1070,103 150

CVC European Equity Partners V, L.P.3

2008 26,000,000 1.32% Years 1-10 1,528 132

Quantum Energy Partners V, L.P. 2008 20,000,000 1.98% Years 1-5

1.50% Years 6-1095,312 198

Fulcrum Growth Partners IV, L.P. 2009 10,000,000 1.00% Years 1-4 143,272 100

Lincolnshire Equity Fund IV, L.P. 2009 20,000,000 2.00% Years 1-6

1.50% Years 7-1078,958 200

Longroad Capital Partners III, L.P.* 2009 20,000,000 2.00% 0 200

New Enterprise Associates 13, L.P. 2009 20,000,000 1.25% Years 1-12 136,910 125

EIF United States Power Fund IV, L.P. 2010 20,000,000 1.75% Years 1-5

1.50% Years 6-10242,823 175

Merit Mezzanine Fund V, L.P. 2010 15,000,000

1.75% Years 1-61.575% Year 71.40% Year 8

1.225% Year 91.05% Year 10

73,827 175

1. Most funds have management fee offsets which will reduce the absolute dollars paid by the client2. Fund of funds that does not include fees paid to underlying managers.3. Commitments to Bridgepoint Europe IV and CVC European Equity Partners V were both EUR 20.0mm. The USD commitments were converted at an exchange rate of 1.30 USD/EUR. The commitment to CVC Capital Partners VI was EUR 15.0mm with a converted exchange rate of 1.30661 USD/EUR. The commitment to Bridgepoint Europe V was EUR 20.0mm with a converted exchange rate of 1.25353 USD/EUR.* Estimated management fee. The manager does not break out fees for this fund.

42



1. Most funds have management fee offsets which will reduce the absolute dollars paid by the client3. Commitments to Bridgepoint Europe IV and CVC European Equity Partners V were both EUR 20.0mm. The USD commitments were converted at an exchange rate of 1.30 USD/EUR. The commitment to CVC Capital Partners VI was EUR 15.0mm with a converted exchange rate of 1.30661 USD/EUR. The commitment to Bridgepoint Europe V was EUR 20.0mm with a converted exchange rate of 1.25353 USD/EUR.* Estimated management fee. The manager does not break out fees for this fund.


YearCommitment

Fee Schedule1


YTD Management

Fee

Total Fees (bps)

Ares Mezzanine Partners, L.P. 2011 15,000,000 1.50% Years 1-5

1.00% Years 6-100 150

Lightyear Fund III, L.P. 2011 20,000,000 1.75% 40,230 175

Ares Corporate Opportunities Fund IV, L.P. 2012 20,000,000 1.50% Years 1-5

0.75% Years 6-1085,089 150

Dover Street VIII, L.P. 2012 25,000,000 0.50% Year 11.00% Year 2

1.25% Years 3-10310,199 50

Green Equity Investors VI, L.P. 2012 20,000,000 1.50% Years 1-61.00% Years 7-8

0.75% Years 9-1067,259 150

McCarthy Capital V, L.P. 2012 20,000,000 2.00% 203,018 200New Enterprise Associates 14, L.P. 2012 20,000,000 1.25% Years 1-12 169,509 125Accel-KKR Capital Partners IV, L.P. 2013 12,500,000 2.25% 101,084 225Beecken Petty O'Keefe Fund IV, L.P. 2013 20,000,000 2.00% 184,365 200Pine Brook Capital Partners II, L.P. 2013 30,000,000 1.96% blended rate 473,035 196

Wayzata Opportunities Fund III, L.P. 2013 25,000,000 1.50% 89,183 150

CVC Capital Partners VI, L.P.3

2014 19,599,150 1.50% Years 1-6

1.25% Years 7-10154,232 150

New Mountain Partners IV, L.P. 2014 30,000,000 1.75% Years 1-5

1.00% Years 6-10126,776 175

Quantum Energy Partners VI, LP 2014 30,000,000 1.65% Years 1-5

1.50% Years 6-10276,310 165

The Energy and Minerals Group III, L.P. 2014 35,000,000 1.64% blended rate Years 1-5

1.50% Years 6-101.00% Years 11-12

209,912 164

The Resolute Fund III, L.P. 2014 30,000,000 1.75% Years 1-61.00% Thereafter

222,468 175

Francisco Partners IV, LP 2015 20,000,000 1.50% Years 1-6

1.25% Years 7-10243,098 150

Wynnchurch Capital Partners IV, L.P. 201525,000,000

2.00% Years 1-10 500,000 200

Bridgepoint Europe V, L.P. 201625,070,600

1.50% Years 1-51.00% Years 6-10

157,117 150

43



1. Fund of funds that does not include fees paid to underlying managers.* Estimated management fee. The manager does not break out fees for this fund.


YearCommitment

Fee Schedule1


YTD Management

Fee

Total Fees (bps)

Dover Street IX, L.P. 2016 50,000,000

0.25% Year 10.50% Year 20.85% Year 3

1.25% Years 4-71.20% Year 81.15% Year 9

1.10% Year 100.10% Thereafter

510,390 25

McCarthy Capital VI, L.P. 2016 40,000,000 2.00% Years 1-10 800,000 200

Ares Corporate Opportunities Fund V, L.P. 2017 50,000,000 1.50% Years 1-6

0.75% Years 6-10750,000 150

Francisco Partners V, L.P. 2017 50,000,000 1.50% Years 1-61.25% Thereafter

166,660 150

Genstar Capital Partners VIII, L.P. 2017 50,000,000 1.75% 808,936 175

Green Equity Investors VII, L.P. 2017 50,000,000 1.46% blended rate Years 1-6

1.00% Years 7-80.75% Years 9-10

142,828 146

New Mountain Partners V, L.P. 2017 50,000,000 1.75% Years 1-61.00% Thereafter

656,082 175

Quantum Energy Partners VII, LP 2017 50,000,000 1.75% Years 1-51.50% Thereafter

775,778 175

Bridgepoint Europe VI, L.P. 2018 48,968,000 1.50% Years 1-5

1.00% Years 6-10310,749 150

The Resolute Fund IV, L.P. 2018 50,000,000 1.75% Years 1-61.00% Thereafter

875,002 175

Genstar Capital Partners IX, L.P. 2019 50,000,000 1.75% 513,867 175

New Enterprise Associates 17, L.P. 2019 50,000,000 1.25% 206,390 125

Dover Street X, L.P. 2019 50,000,000

0.25% Year 10.50% Year 20.85% Year 3

1.25% Years 4-71.20% Year 81.15% Year 9


73,238 25

Total Defined Benefit Portfolio $1,568,640,399 $11,956,319 135

44

Private Equity – Endowment


1. Most funds have management fee offsets which will reduce the absolute dollars paid by the client


YearCommitment

Fee Schedule1


YTD Management

Fee

Total Fees (bps)

Endowment Portfolio

Abbott Capital Private Equity Fund VI, L.P. 2008 45,000,000 0.90% Years 1-7

Declines by 10% Years 8-10$268,017 90

RCP Fund VII, L.P. 2010 20,000,000 1.00% Years 1-5

0.75% Years 6-10150,000 100

Dover Street VIII, L.P. 2012 15,000,000 0.50% Year 11.00% Year 2

1.25% Years 3-10186,120 50

RCP Fund VIII, L.P. 2012 10,000,000 1.00% Years 1-5

0.75% Years 6-1075,000 100

Abbott Capital Private Equity Fund VII, L.P. 2014 20,000,000 0.97% blended rate Years 1-890% of original fee Years 9-12

75% of original fee Years 13-15200,000 97

Ironsides Partnership Fund IV, L.P. 2017 20,000,000 0.75% Years 1-10 150,000 75

Dover Street X, L.P. 2019 16,000,000

0.25% Year 10.50% Year 20.85% Year 3

1.25% Years 4-71.20% Year 81.15% Year 9


23,436 25

Total Endowment Portfolio $146,000,000 $1,052,573 109

45

Nebraska Investment Council - Fee Table

ManagerAssets



(bps)

StateStreet (custody) $21,302,256,240 $532,556 0.25

StateStreet & Aon Hewitt Investment Consulting


* State Street assets include: Total DB, DC, Total CBB, OSERS, HC Endowment, 50/50 Endowment, Excess Liability, In-House Trusts, Internal STLP, and OIP** Does not include fees paid for 3rd party FX transactions

Aon Hewitt Fee($ in dollars)

Investment Consulting Fees $895,000

46

Total Defined Benefit/Total Cash Balance Benefit

Benchmark Currently 28.5% Dow Jones Total Stock Market Index, 19.0% MSCI All Country World IMI Index, 11.5% MSCI All Country World ex-US IMI Index, 30% Bloomberg

Barclays Capital Universal Index, 6% NCREIF ODCE Index, and 5% Dow Jones Total Stock Market Index + 3%. The performance of the asset class benchmarks are weighted at

their policy targets, as they have changed over time.

DFA

Benchmark The Russell 2000 Index. Prior to April 2014, the Russell 2000 Value Index. Prior to August 2006, the Wilshire Small-Cap Value Style Index.

BlackRock Russell 1000 Index Fund

Benchmark Russell 1000 Index


Benchmark The MSCI All Country World ex-U.S. IMI. Prior to August 2010, the MSCI All Country World ex-U.S. Index, Gross Dividends. Prior to October 2000, MSCI EAFE Index.

BlackRock ACWI ex-U.S. IMI

Benchmark The MSCI All Country World ex-U.S. IMI.

Total Global Equity

Benchmark The MSCI All Country World IMI. Prior to August 2010, the MSCI All Country World Index.

Arrowstreet

Benchmark: MSCI All Country World IMI (Net)

MFS

Benchmark The MSCI All Country World IMI. Prior to May 2012, the MSCI All Country World Index.

Wellington Equity

Benchmark The MSCI All Country World Small Cap Index

Dodge & Cox

Benchmark The MSCI All Country World Index IMI

Benchmark Descriptions


47



Fixed Income Component, BlackRock, PIMCO

Benchmark As of January 2005, the Bloomberg Barclays Capital Universal Index. As of December 2004, 20% the Citigroup Large Public Fund Index and 80% the Bloomberg

Barclays Capital Universal Index. As of November 2004, 40% the Citigroup Large Public Fund Index and 60% the Bloomberg Barclays Capital Universal Index. As of October 2004,

60% the Citigroup Large Public Fund Index and 40% the Bloomberg Barclays Capital Universal Index. As of September 2004, 80% the Citigroup Large Public Fund Index and 20%

the Bloomberg Barclays Capital Universal Index. Prior to September 2004, the Citigroup Large Public Fund Index.

Loomis Sayles

Benchmark As of August 1, 2010 the benchmark is the Bloomberg Barclays Capital U.S. Universal Bond Index. Prior to August 2010 the benchmark was the Bloomberg Barclays

Capital High Yield Index.

Wellington Global

Benchmark The Bloomberg Barclays Capital Global Aggregate Index.

Loomis Sayles Bank Loans

Benchmark The S&P/LSTA Leveraged Loan Index.

Franklin Templeton

Benchmark The Credit Suisse Leveraged Loans (Split BB) Index.

Neuberger Berman

Benchmark The Bloomberg Barclays Universal Bond Index

Total Real Estate

Benchmark The NCREIF ODCE Index. Prior to January 2016, the NCREIF Property Index. Prior to April 2009, 20% DJ US Select Real Estate Securities Total Return - Float, 80%

NCREIF Property Index. Prior to April 2006, 25% DJ US Select Real Estate Securities Total Return- Float, 75% NCREIF Property Index. Prior to December 2004, the DJ US Select

Real Estate Securities Total Return


Benchmark The Dow Jones U.S. Total Stock Market Index + 3%

48



Total Endowment

DFA

Benchmark The Russell 2000 Index. Prior to April 2014, the Russell 2000 Value Index. Prior to August 2006, the Wilshire Small-Cap Value Style Index.

Blackrock Russell 1000 (Healthcare Endowment)

Benchmark The Russell 1000 Index.

Blackrock Russell 1000 Value Index

Benchmark The Russell 1000 Value Index.

Non-U.S. Equity Component

Benchmark The MSCI All Country World ex-U.S. IMI. Prior to August 2010, the MSCI All Country World ex-U.S. Index.

BlackRock All Country World ex-U.S. IMI

Benchmark The MSCI All Country World ex-U.S. IMI. Prior to June 2011, the MSCI EAFE + Canada Index.

Global Equity Component

Benchmark The MSCI All Country World IMI. Prior to August 2010, the MSCI All Country World Index.

Acadian, MFS, Mondrian Global Equity

Benchmark The MSCI All Country World IMI. Prior to May 2012, the MSCI All Country World Index.

Wellington Equity

Benchmark The MSCI All Country World Small Cap Index.

Blackrock ACWI IMI

Benchmark The MSCI All Country World IMI.

Dodge & Cox

Benchmark The MSCI All Country World Index IMI

49



Fixed Income Component and PIMCO

Benchmark As of April 2005, the Bloomberg Barclays Universal Index. Prior to April 2005, the Bloomberg Barclays Aggregate Bond Index.

Loomis Sayles

Benchmark As of August 1, 2010 the benchmark is the Bloomberg Barclays Capital U.S. Universal Bond Index. Prior to August 2010 the benchmark was the Bloomberg Barclays

Capital High Yield Index.

Blackrock Aggregate Bond Index

Benchmark The Bloomberg Barclays Aggregate Index.

Neuberger Berman

Benchmark The Bloomberg Barclays Universal Bond Index

OSERS

Policy Index: Beginning April 1, 2017, the Policy Index will be calculated monthly based on weightings of each underlying benchmark for the respective composites from previousmonth close. Prior to April 1, 2017, 7.0% Russell 1000 Index, 3.0% U.S Equity Allocation Index, 5.5% MSCI World ex USA Index (net), 2.5% MSCI Emerging Markets Index,2.5% MSCI Emerging Markets Small Cap Index, 10.0% MSCI AC World Index (Net), 10.0% NCREIF Property Index, 21.0% Burgiss All US PE (1 Qtr-Lag), 10.0% HFRI RV: Multi-Strategy Index, 7.0% Bloomberg Barclays U.S. Aggregate Index, 2.5% Bloomberg Barclays U.S. TIPS Index, 9.0% Bloomberg Barclays Global Aggregate index, 5.0% 60/40 MSCIWorld/JPM GBI Index, 5.0% 60/40 MSCI ACWI/Blmbg. Barc. U.S. Agg Index. Prior to October 1, 2016, performance history was calculated by NEPC.

U.S. Equity Composite

Benchmark: Beginning April 1, 2017, the Custom U.S. Equity Benchmark is composed of the Dow Jones U.S. Total Stock Market. Prior to April 1, 2017, the benchmark wascalculated monthly based on the weightings of each underlying benchmark for the respective managers in the composite from previous month close.

Global Equity Composite

Benchmark: Beginning April 1, 2017, the Custom Global Equity Benchmark is composed of the MSCI ACWI IMI Net. Prior to April 1, 2017, the benchmark was calculated monthlybased on the weightings of each underlying benchmark for the respective managers in the composite from previous month close.

International Equity Composite

Benchmark: The MSCI ACWI ex U.S. IMI Net

Fixed Income Composite

Benchmark: Beginning April 1, 2017, the Custom Fixed Income Benchmark is composed of the Bloomberg Barclays Universal Index. Prior to April 1, 2017, Bloomberg BarclaysAggregate Index

50



Private Equity Composite

Benchmark: The Burgiss All US PE (1-Qtr Lag) Index.

Real Asset Composite

Benchmark: Beginning April 1, 2017, the Custom Real Asset Benchmark is composed of the Burgiss All US PE (1-Qrt Lag) Index and NCREIF Timberland Index. Prior to April 1,2017, The Alerian MLP Index and the NCREIF Timberland Index.

Hedge Fund Composite

Benchmark: The HFRI RV: Multi-Strategy Index.

Real Estate Composite

Benchmark: The NCREIF Property Index.

Total OIP

Benchmark As of June 2018, 15% ICE BofAML 3 Month T-Bill and 85% BofA Merrill Lynch Custom Index*. As of March 2014, 15% FTSE 1-month CD and 85% BofA Merrill LynchCustom Index*. As of November 2011, 15% FTSE 1-month CD and 85% Bloomberg Barclays Capital Intermediate Government/Corporate Index. As of June 2009, 90% of theBloomberg Barclays Intermediate Government/Credit Index and 10% of the FTSE 1-month CD. Prior to July 2003, the benchmark consisted of 85% of the ML 1-3 YearGovernment/Credit Index and 15% of the 90-Day T-Bill + 15 basis points. Prior to October 1997, the benchmark consisted of 50% of the ML 1-3 Year Government/Credit Index and

50% of the 90-Day T-Bill + 90 basis points.

*BofA Merrill Lynch Custom Index is composed of 60% BofA Merrill Lynch US Treasury/Agency 1-10 Year Index and 40% BofA Merrill Lynch US Corporate A-AAA 1-10 Year Index

Internal Short-Term Liquidity Pool

Benchmark As of June 2018, ICE BofAML 3 Month T-Bill. As of June 2009, FTSE 1 Month CD. As of October 1997, 90-Day T-Bill + 15 basis points. Prior to October 1997, 90-Day T-Bill + 90 basis points

51

RankA representation of the percentile position of the performance of a given portfolio, relative to a universe of similar funds. For example, a rank of 25 for a given manager indicatesoutperformance, by that manager, of 75% of other Funds in that universe.

UniverseA distribution of the returns achieved by a group of funds with similar investment objectives.

Ratio of Cumulative WealthAn illustration of a portfolio's cumulative, unannualized performance relative to that of its benchmark. An upward sloping line indicates fund outperformance. Conversely, adownward sloping line indicates underperformance by the fund. A flat line is indicative of benchmark-like performance.

Risk-ReturnThe horizontal axis, annualized standard deviation, is a statistical measure of risk, or the volatility of returns. The vertical axis is the annualized rate of return. As most investorsgenerally prefer less risk to more risk and always prefer greater returns, the upper left corner of the graph is the most attractive place to be. The line on this exhibit represents therisk and return trade-offs associated with market portfolios, or index funds.


Other Terms & Descriptions

52

Periodic Table of Performance

*Large Growth – Russell 1000 Growth; Large Value – Russell 1000 Value; Small Growth – Russell 2000 Growth; Small Value – Russell 2000 Value; EAFE – MSCI EAFE; EM – MSCI EM; REITs – NAREIT; Bonds –Barclays Aggregate; High Yield – Barclays High Yield; Cmdty – GSCI; HFOF – HFR FOF

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 1Q 2020

EM REITs EM EM Sm Growth REITs Sm Value EM Lg Growth

55.8 30.4 34.0 78.5 28.0 19.7 31.7 37.3 36.4

Sm Growth EM Cmdty REITs High Yield REITs EM Lg Value Lg Growth Sm Growth

48.5 25.6 25.6 34.0 58.2 27.6 18.2 17.3 30.2 28.5

Sm Value Sm Value EAFE EM Lg Growth Sm Value Sm Value High Yield EAFE REITs

46.0 22.3 13.5 32.2 37.2 24.7 18.0 17.1 25.0 28.2

EAFE EAFE REITs EAFE EM Sm Growth EM Lg Value Sm Growth REITs Cmdty Sm Growth Lg Value

38.6 20.2 8.3 26.3 39.4 34.5 18.9 17.5 43.3 27.2 11.4 22.2 26.5

REITs Cmdty HFOF Sm Value Cmdty EAFE High Yield EAFE Sm Value Lg Value Sm Growth Lg Value Sm Value

38.5 17.3 7.5 23.5 32.7 31.8 15.1 17.3 34.5 13.5 11.3 13.7 22.4

Lg Value Lg Value Lg Value Lg Value Lg Growth REITs Lg Value High Yield Lg Growth Lg Growth EM REITs EAFE

30.0 16.5 7.1 22.2 11.8 27.8 15.1 15.8 33.5 13.1 11.2 9.3 22.0

REITs Lg Growth Sm Growth Lg Growth Sm Growth EAFE Sm Value Lg Growth Bonds Lg Growth Lg Value Bonds REITs Sm Value EM

15.5 29.8 14.3 5.3 13.4 11.2 20.6 15.1 7.8 15.3 32.5 6.0 9.4 7.8 18.4

Sm Value Cmdty High Yield High Yield Sm Value High Yield HFOF Lg Value Cmdty REITs Sm Growth EAFE Sm Growth Lg Growth HFOF Cmdty

14.0 32.1 29.0 11.1 4.7 11.8 10.3 19.7 9.0 7.3 14.6 22.8 5.6 7.1 7.8 17.6

Bonds Bonds Cmdty HFOF Sm Growth HFOF Sm Growth Cmdty EAFE High Yield HFOF HFOF Sm Value Lg Growth Bonds High Yield High Yield

8.4 10.3 20.7 6.9 4.1 10.4 7.0 13.5 7.8 5.0 4.8 9.0 4.2 5.7 2.6 7.5 14.3

High Yield REITs HFOF Lg Growth High Yield Lg Growth Bonds HFOF Bonds Lg Growth Bonds High Yield HFOF REITs EAFE Cmdty Bonds

5.3 5.2 11.6 6.3 2.7 9.1 7.0 11.5 6.5 2.6 4.2 7.4 3.4 2.1 1.0 5.8 8.7

HFOF HFOF Bonds Bonds Bonds Bonds High Yield Bonds Bonds HFOF Lg Value Cmdty REITs High Yield Bonds HFOF Bonds Bonds HFOF Bonds

2.8 1.0 4.1 4.3 2.4 4.3 1.9 5.2 5.9 5.7 0.4 0.1 2.3 2.5 0.5 0.5 3.5 0.0 7.8 3.1

EM High Yield Cmdty Lg Value HFOF Cmdty Cmdty EM HFOF Lg Growth HFOF

-2.6 -1.4 -15.1 -0.2 -21.4 -1.2 -1.2 -2.2 -0.3 -1.5 -6.0

Lg Value EM Sm Value High Yield Sm Growth Bonds EAFE EAFE High Yield High Yield

-5.6 -6.2 -9.8 -26.2 -2.9 -2.0 -4.9 -0.8 -2.1 -12.7

Sm Growth Sm Value REITs Sm Value Sm Value EM Cmdty Sm Growth REITs Lg Growth

-9.2 -11.4 -17.8 -28.9 -5.5 -2.6 -33.1 -1.4 -3.9 -14.1

Lg Growth Lg Value Lg Value HFOF Lg Value HFOF EAFE

-20.4 -15.5 -36.8 -5.7 -3.8 -4.0 -22.8

EAFE EAFE REITs EAFE High Yield Lg Value EM

-21.4 -15.9 -37.8 -12.1 -4.5 -8.3 -23.6

Cmdty Lg Growth Lg Growth EM Sm Value Sm Growth REITs

-31.9 -27.9 -38.4 -18.4 -7.5 -9.3 -25.5

Sm Growth Sm Growth EM Sm Value Sm Growth

-30.3 -38.5 -14.9 -12.9 -25.8

EAFE Cmdty EAFE Lg Value

-43.4 -32.9 -13.8 -26.7

Cmdty Cmdty Sm Value

-46.5 -13.8 -35.7

EM EM Cmdty

-53.3 -14.6 -42.3

53

1Quarter

FYTD1

Year3

Years5

Years10

YearsSince

InceptionInception

Date

Total Defined Benefit Plan -14.3 -8.7 -5.8 2.9 4.1 7.0 8.6 07/01/1983

Policy Benchmark -14.0 -8.0 -4.8 3.3 4.1 6.9 8.7 07/01/1983

Policy Benchmark* -14.0 -8.0 -4.8 3.3 4.1 7.0 8.7 07/01/1983

* Total Defined Benefit Policy Benchmark includes the long-term target weight allocation of 5% to Private Equity beginning 2/1/2005.

Returns for periods greater than one year are annualized.Returns are expressed as percentages.

Comparative Performance


54

· The rates of return contained in this report are shown on an after-fees basis unless otherwise noted. They are geometric and time-weighted.Returns for periods longer than one year are annualized.

· Universe percentiles are based upon an ordering system in which 1 is the best ranking and 100 is the worst ranking.

· Due to rounding throughout the report, percentage totals displayed may not sum to 100%. Additionally, individual fund totals in dollar termsmay not sum to the plan total.

<ReportMemberName>

Notes


55

Past performance is not necessarily indicative of future results.

Unless otherwise noted, performance returns presented reflect the respective fund’s performance as indicated. Returns may be presented on a before-fees basis (gross) or after-fees basis (net). After-fee performance is net of each respective sub-advisors’ investment management fees and include the reinvestment of dividends and interest as indicated onthe notes page within this report or on the asset allocation and performance summary pages. Actual returns may be reduced by Aon Investments’ investment advisory fees or othertrust payable expenses you may incur as a client. Aon Investments’ advisory fees are described in Form ADV Part 2A. Portfolio performance, characteristics and volatility also maydiffer from the benchmark(s) shown.

The information contained herein is confidential and proprietary and provided for informational purposes only. It is not complete and does not contain certain material informationabout making investments in securities including important disclosures and risk factors. All securities transactions involve substantial risk of loss. Under no circumstances does theinformation in this report represent a recommendation to buy or sell stocks, limited partnership interests, or other investment instruments.

The data contained in these reports is compiled from statements provided by custodian(s), record-keeper(s), and/or other third-party data provider(s). This document is not intendedto provide, and shall not be relied upon for, accounting and legal or tax advice. Aon Investments has not conducted additional audits and cannot warrant its accuracy orcompleteness. We urge you to carefully review all custodial statements and notify Aon Investments with any issues or questions you may have with respect to investmentperformance or any other matter set forth herein.

The mutual fund information found in this report is provided by Thomson Reuters Lipper and Aon Investments cannot warrant its accuracy or timeliness. Thomson Reuters LipperGlobal Data Feed provides comprehensive coverage of mutual fund information directly to Investment Metrics, Aon Investments’ performance reporting vendor, via the PARisperformance reporting platform. Thomson Reuters Lipper is the data provider chosen by Investment Metrics, and as such, Aon Investments has no direct relationship with ThomsonReuters Lipper.

Refer to Hedge Fund Research, Inc. www.hedgefundresearch.com for information on HFR indices.

FTSE International Limited (“FTSE”) © FTSE 2017. “FTSE®” and “FTSE4Good®” are trademarks of the London Stock Exchange Group companies and are used by FTSEInternational Limited under license. The FTSE indices are calculated by FTSE International Limited in conjunction with Indonesia Stock Exchange, Bursa Malaysia Berhad, ThePhilippine Stock Exchange, Inc., Singapore Exchange Securities Trading Limited and the Stock Exchange of Thailand (the "Exchanges"). All intellectual property rights in theFTSE/ASEAN Index vest in FTSE and the Exchanges. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and / or FTSE ratings orunderlying data. No further distribution of FTSE Data is permitted without FTSE’s express written consent.

Aon Investments USA Inc. (“Aon Investments”) is a federally registered investment advisor with the U.S. Securities and Exchange Commission (“SEC”). Aon Investments is alsoregistered with the Commodity Futures Trade Commission as a commodity pool operator and a commodity trading advisor, and is a member of the National Futures Association.The Aon Investments ADV Form Part 2A disclosure statement is available upon written request to:

Aon Investments USA Inc.200 East Randolph StreetSuite 700Chicago, IL 60601ATTN: Aon Investments Compliance Officer

Disclaimer

56

nebraska investment council...visit the retirement and investments thought leadership site ();...

Documents